Of the first five, Lameboy is the only one, and I believe (not entirely certain) that the uncompressed rom has to be under 2 or 3 MB for it to work. MarcaDS might use zip files but without compression, and I don't know about the others.

Save files depend entirely on the system being emulated. NES save files are usually very small, GBC save files can be up to 32 KB in size, SNES save files usually max out at 32 KB, etc. Savestates tend to be bigger since they contain RAM dumps in addition to regular save data.